Roku has no downloaded videos. It is a streamer, nothing else. It does not store any media on the device itself, so has nothing it can send to another device. When it is powered off (by unplugging it), there is nothing stored but the channel software.
Nvidia Shield, Roku Stick (3600), Ultra (4640), Premiere (3920), Insignia 720p Roku TV, Sharp 4K Roku TV, Windows 10 Pro x64 running Serviio and Plex on a wired Gigabit network.